Wisdom State of Trend Following – JUNE 2020


BBB STRATEGY: -.73% – YTD +5.7%
TMA STRATEGY: -1.40% YTD + 4.9%
BREAKOUT STRATEGY: -.97% YTD + 8.2%
COMBINED STRATEGY: -3% YTD +18.33%


The new State of Trend Following report features 3 medium to long term trend following strategies that we manage in client accounts.  Each strategy trades the same portfolio of 38 diversified markets (see below).  The strategies implement a dynamic money management approach for position sizing with a maximum risk per trade of 2% or less of the account value.  If you would like historical performance detail for any of the portfolios, please contact me directly at shane@wisdomtrading.com or 800-854-6354.

**Performance is simulated on the Trading Blox platform using CSI back-adjusted end of day data. Past performance is not indicative of future results. The potential for profit is accompanied by the risk of loss.

SUMMARY STATISTICS FOR EACH STRATEGY:

DIVERSIFIED PORTFOLIO:

Portfolio is comprised of equity, fixed income, currency, energy, metal, and agricultural futures (38 total).


OPEN POSITIONS:


COMBINED STRATEGY EQUITY CURVE:


BBB STRATEGY EQUITY CURVE:


BREAKOUT STRATEGY EQUITY CURVE:


TMA STRATEGY EQUITY CURVE:


SYSTEM CORRELATIONS:

STRATEGY HIGHLIGHTS:

  • Medium to long-term, trend following system.
  • Quantitative, statistical and 100% systematic. No discretionary override of computer-generated signals.
  • Extracts profits from up & down trends, with no long or short bias.
  • Designed to capture major trends & scale risk exposure to current market conditions.

TRADING ACCOUNT STRUCTURE:

  • Separately Managed Account – $50,000 Minimum
  • Fees = $10 per trade, per contract + exchange/NFA fee.
  • No Management/No Incentive Fee Structure
  • Accounts are liquid, transparent, and easy to follow.

Disclaimers
Material Assumptions
The test is set-up with an arbitrary starting capital of $1,000,000.00, starting on Jan 1, 2000. Profits are compounded (assumed to be reinvested).

The purchase or sale price for each trade that generated the hypothetical results is based either on 1) open price, the day after the Buy or Sell signal for the Moving Average-based systems or 2) stop level set by the relevant indicator for the BBB or Breakout systems. The actual simulated fill price is obtained by calculating a slippage factor, which is added to (or subtracted from) the theoretical entry price. For a long entry, the slippage factor is calculated by measuring the range from the theoretical entry price to the day’s highest price, and multiplying that amount by the Slippage Percent. (For short entries, the slippage factor is calculated by measuring the range from the theoretical entry price to the low). The slippage factor is then added to, or subtracted from the theoretical entry price, to obtain the simulated fill price. Costs factored include: Commission – $12.50 per contract. Slippage 5% of the Average True Range. Rollovers are accounted for with slippage at 5% of the Average True Range.

Risk Disclosures
Commodity Trading involves high risks and you can lose a significant amount of money. Commodity trading is not suitable for many investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.

CFTC-required risk disclosure for hypothetical results:
Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.